El ‘tail risk’ o riesgo de cola es un suceso poco probable, pero que si termina sucediendo afecta a todo el modelo económico que se entiende como normalizado. Es decir, son eventos imposibles de conocer o evaluar en una distribución normal.
Bank research reports frequently refer to “tail risk” for investors, but it isn’t always clear what it means and what to do about it.
Broadly speaking, a tail risk is an event with a small probability of happening, says Bob Conroy, professor of finance at the University of Virginia Darden School of Business. “In every event there are tails; there are really, really good things that can happen and really, really bad things.”
The term comes from looking at the bell curve, or so-called normal distribution of results. The tails of the bell curve extend out to plus or minus infinity with ever-decreasing probabilities. Simply put, tail risks are by definition small, if not tiny.
Returns from investing are distributed in exactly that way, around a bell curve, with few instances of massive gains and few instances of humongous losses. The financial crisis of 2008-09 was an example of a rare event, or series of events, that coincided to cause a meltdown in stock markets around the world.